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A Multivariate Functional Limit Theorem in Weak M_1 Topology (CROSBI ID 199932)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Basrak, Bojan ; Krizmanić, Danijel A Multivariate Functional Limit Theorem in Weak M_1 Topology // Journal of theoretical probability, 28 (2015), 1; 119-136. doi: 10.1007/s10959-013-0510-3

Podaci o odgovornosti

Basrak, Bojan ; Krizmanić, Danijel

engleski

A Multivariate Functional Limit Theorem in Weak M_1 Topology

We show a new functional limit theorem for weakly dependent regularly varying sequences of random vectors. As it turns out, the convergence takes place in the space of R^d valued cadlag functions endowed with the so-called weak M_1 topology. The theory is illustrated on two examples. In particular, we demonstrate why such an extension of Skorohod's M_1 topology is actually necessary for the limit theorem to hold.

Functional limit theorem ; Regular variation ; Stable Levy process ; Weak M_1 topology

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Podaci o izdanju

28 (1)

2015.

119-136

objavljeno

0894-9840

1572-9230

10.1007/s10959-013-0510-3

Povezanost rada

Matematika

Poveznice
Indeksiranost